There's an artsy area of the city with a few clubs, including the Bass Line, which I believe usually features Jazz. I saw some good acts there about eight years ago. There's also The Songwriter's Club, which features local bands of various genres, including rock, punk, etc. I saw a good pop-punk band there in 2003.
My brother lives there, so I'll shoot him an e-mail and ask about the current hot live music venues. He's a musician, and will know.
If you have time, you should get out of Jo'burg to see how incredibly beautiful South Africa is. Jo'burg and many of its suburbs feel more American to me than anyplace I've visited outside the U.S., including Canada. At least take a tour of Soweto, which is easy to arrange and very worthwhile.
Edit: Here's my brother's response "I went to see a rock band at Cool Runnings in Melville a couple of weeks
ago. I think there is another Cool Runnings in Fourways. Roxy's (Melville) is probably still going too. I think there is a lot happening in Pretoria. He could easily find gigs online."
Melville is probably where you want to be:
http://en.wikipedia.org/wiki/Melville,_Gauteng
